Large deviations and multinomial probit choice

• 成果类型: Article
• 署名作者: Dokumaci, Emin; Sandholm, William H.
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.06.013
• 发表日期: 2011
• 页码: 2151-2158
• 关键词: Discrete choice theory; Large deviations theory; Multinomial probit model; Stochastic evolutionary game theory; stochastic stability

摘要

We consider a discrete choice model in which the payoffs to each of an agent's n actions are subjected to the average of In i.i.d. shocks, and use tools from large deviations theory to characterize the rate of decay of the probability of choosing a given suboptimal action as m approaches infinity. Our model includes the multinomial probit model of Myatt and Wallace (2003) 1511 as a special case. We show that their formula describing the rates of decay of choice probabilities is incorrect, provide the correct formula, and use our large deviations analysis to provide intuition for the difference between the two. (C) 2011 Elsevier Inc. All rights reserved.